: We study general state-space Markov chains that depend on a parameter, say, . Sufficient conditions are established for the stationary performance of such a Markov chain to be di...
We study the interpolation procedure of Gomory and Johnson (1972), which generates cutting planes for general integer programs from facets of cyclic group polyhedra. This idea has...
Different generalizations to the case of coverings of the standard approach to entropy applied to partitions of a finite universe X are explored. In the first approach any cover...
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...